Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 4 4 5
Score -2.68 -2.42 -0.54
Market Cap (Millions USD) 2303.46 2248.14 2283.7
Predicted Beta 0.4 0.4 0.4
Idiosyncratic Volatility 1.54 1.53 2.02

Annualized return and volatility

EPP
Annualized Return 0.0956
Annualized Std Dev 0.2341
Annualized Sharpe (Rf=0%) 0.4084

Row

Daily Return Statistics

EPP
Observations 4650.0000
NAs 464.0000
Minimum -0.1122
Quartile 1 -0.0057
Median 0.0005
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0074
Maximum 0.1659
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0147
Skewness 0.2119
Kurtosis 13.3183

Downside Risk

EPP
Semi Deviation 0.0105
Gain Deviation 0.0109
Loss Deviation 0.0115
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.6601
Historical VaR (95%) -0.0210
Historical ES (95%) -0.0355
Modified VaR (95%) -0.0189
Modified ES (95%) -0.0189
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2013-01-10 -0.6601 1330 273 1057
2014-09-04 2016-01-15 2017-07-14 -0.3040 733 352 381
2002-05-23 2002-10-09 2003-06-11 -0.1874 272 99 173
2018-01-29 2018-12-24 2019-06-27 -0.1782 362 233 129
2007-07-24 2007-08-16 2007-09-19 -0.1759 42 18 24

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EPP
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA 1.0 0.0 0.0 1.0
2002 -1.3 0.4 -0.2 0.7 0.0 -0.3 -1.6 0.0 1.4 0.4 0.0 0.0 -0.5
2003 0.0 0.0 0.0 0.5 0.0 1.5 0.1 0.0 2.0 0.0 1.3 0.0 5.5
2004 0.0 0.5 0.6 0.0 -0.4 0.2 0.0 1.0 1.0 0.3 1.2 0.0 4.4
2005 0.9 0.1 -0.1 0.0 0.6 -0.5 0.8 1.5 0.0 -0.3 1.6 0.0 4.7
2006 -0.1 0.3 0.0 0.5 1.2 0.0 -0.4 0.9 0.0 0.2 -1.5 0.0 1.1
2007 0.2 -1.7 0.0 0.4 1.1 0.0 -1.4 0.0 2.2 -3.8 0.0 0.0 -3.2
2008 3.4 0.0 3.1 1.0 0.0 -2.4 -1.9 0.0 -0.1 0.0 -8.7 0.0 -6.0
2009 0.0 0.0 2.5 0.3 3.6 0.5 0.0 -1.9 -3.3 0.0 2.2 0.0 3.9
2010 2.2 2.1 2.0 0.0 -2.2 0.2 0.0 4.5 1.0 1.1 2.8 0.0 14.3
2011 1.7 -1.6 1.1 0.0 -2.3 0.8 0.5 -0.9 0.0 -2.6 -1.0 0.0 -4.3
2012 1.2 0.8 0.0 0.5 -2.1 0.0 -0.2 0.0 0.9 0.4 0.0 0.0 1.4
2013 0.6 0.0 -0.4 -1.5 0.0 -0.3 0.7 0.0 1.0 0.0 0.0 0.0 0.0
2014 0.0 0.0 0.6 -0.5 0.0 0.5 -0.3 0.0 -0.3 0.0 -1.8 0.0 -1.8
2015 0.0 0.0 0.5 0.6 -0.7 0.7 0.0 -3.8 0.6 0.0 2.2 0.0 0.1
2016 -0.2 2.8 -0.7 0.0 -0.1 0.3 -0.8 0.7 0.0 0.0 0.5 0.0 2.5
2017 0.4 1.2 0.0 0.9 0.3 0.0 0.5 0.6 0.0 0.7 0.1 0.0 4.9
2018 0.2 -0.5 0.0 0.3 0.3 0.0 -1.2 0.0 0.0 2.2 0.0 0.0 1.3
2019 -0.6 0.6 1.6 -0.3 0.0 0.2 -1.3 0.0 -1.1 1.4 0.0 0.2 0.5

Row

Rolling Performance Chart

Snail Trail Chart